MIFIDPRU 10.3 Application of K-DTF requirement to clearing activities

1. (1)

   1This rule applies to transactions in financial instruments in relation to which a MIFIDPRU investment firm provides clearing services in its capacity as a clearing member or an indirect clearing firm.

2. (2)

   Except where MIFIDPRU 10.3.2R applies, a firm must include the transactions in (1) in its calculation of DTF for the purposes of the K-DTF requirement in accordance with the remainder of this rule.

3. (3)

   The transactions in (1) must be included in a firm’s DTF on the following basis:

   1. (a)

      where the order that gave rise to the clearing transaction was a cash trade, the clearing transaction must also be treated as if it were a cash trade (irrespective of whether it would otherwise meet that definition); and

   2. (b)

      where the order that gave rise to the clearing transaction was a derivatives trade, the clearing transaction must also be treated as if it were a derivatives trade (irrespective of whether it would otherwise meet that definition).

1. (1)

   1This rule applies where a firm:

   1. (a)

      executes an order:

      1. (i)

         in its own name (whether for its own account or on behalf of a client); or

      2. (ii)

         in the name of a client; and

   2. (b)

      also provides clearing services in its capacity as a clearing member or indirect clearing firm in relation to a transaction that results from the order in (a).

2. (2)

   1Where this rule applies, the value of the relevant order in (1)(a) is not included in the firm’s measurement of DTF attributable to clearing services under MIFIDPRU 10.3.1R, provided that the value of the order has already been included in one of the following in relation to the firm’s execution services:

   1. (a)

      the calculation of the firm’s COH under MIFIDPRU 4.10 (K-COH requirement); or

   2. (b)

      the calculation of the firm’s DTF under MIFIDPRU 4.15 (K-DTF requirement).

1Where prudential consolidation applies to a UK parent entity under MIFIDPRU 2.5.7R, the UK parent entity must include within the calculation of its consolidated K-DTF requirement any transactions that are cleared by clearing members or indirect clearing firms that are included within its consolidated situation.